Author's abstract. In nonlinear state-space models, sequential learning about the hidden state can proceed by particle filtering when the density of the observation conditional on the state is available analytically (e.g. Gordon et al. 1993). This condition need not hold in complex environments,...

This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a large class of dynamic equilibrium models. The authors' approach is based on the observation that the econometric structure of these systems naturally generates auxiliary equilibria...

This paper develops an indirect inference (Gourieroux et al., 1993; Smith, 1993) estimation method for a large class of dynamic equilibria. Our approach consists of constructing econometrically tractable auxiliary equilibria, obtained by simplifying the economic primitives of the structural...